CFE Product Level System Parameters

Below is a reference chart for various CFE product level system parameters that apply within CFE's trading system. Please refer to CFE rules for additional detail regarding the parameters. For more information please visit cfe.cboe.com.

VX

VXT

XBT

VU

VXTY

VA

VAO

IBHY

IBHYT

IBIG

IBIGT

Threshold Width

10%

N/A

5%

10%

10%

10%

10%

10%

N/A

10%

N/A

Market Order Protection

10%

N/A

10%

10%

10%

10%

10%

N/A

N/A

N/A

N/A

Limit Order Protection (CFE setting)

10%

N/A

5%

10%

10%

10%

10%

1%

N/A

1%

N/A

Limit Up

70%

N/A

10% increments

70%

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Limit Down

30%

N/A

10% increments

10%

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Minimum Price (simple)

0.05

-0.5

5

0.05

0.01

0.05

0.05

0.01

-0.5

0.01

-0.5

Maximum Price (simple)

99,999.95

0.5

99,995

99,999.95

99,999.99

99,999.95

99,999.95

99,999.99

0.5

99,999.99

0.5

OCC Origin Code

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

CustomerFirm

Time in Force

DayIOCFOKGTCGTD

DayIOCFOK

DayIOCFOKGTCGTD

DayIOCFOKGTCGTD

DayIOCFOKGTCGTD

DayIOCFOKGTCGTD

DayIOCFOK

DayIOCFOKGTCGTD

DayIOCFOK

DayIOCFOKGTCGTD

DayIOCFOK

Matching Algorithm

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Price-Time Priority

Simple Stop Limit

Yes

No

Yes

Yes

Yes

Yes

Yes

Yes

No

Yes

No

Simple Tick Increment

0.05

0.01

5

0.05

0.01

0.05

0.05

0.01

0.005

0.01

0.005

Spread Tick Increment(applies to net spread price and leg prices)

0.01

0.01

0.01

0.01

0.01

0.01

N/A

0.01

0.01

0.01

0.01

Block Trade/ECRP Tick Increment(applies to simple and spread)

0.005

0.005

0.005

0.01

0.01

0.01

N/A

0.005

0.005

0.005

0.005

Block Trade Minimum Size (simple)

200

200

50

100

100

50,000 Vega N.

N/A

50

50

50

50

Block Trade Smallest Leg (spread)*

100

100

50

50

50

25,000 Vega N.

N/A

50

50

50

50

Block Trade Smallest Leg (strip)*

100

100

50

50

50

N/A

N/A

50

50

50

50

DPM/LMM Allocation

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

N/A

Last updated 2019-01-22

* CFE rules also provide for a minimum overall Block Trade quantity for a spread or strip.